private Curve applyShift(Curve curve, int scenarioIndex)
{
double shiftAmount = shiftAmounts.get(scenarioIndex);
log.debug("Applying {} parallel shift of {} to curve '{}'", shiftType, shiftAmount, curve.Name);
return(ParallelShiftedCurve.of(curve, shiftType, shiftAmount));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ParallelShiftedCurve test = ParallelShiftedCurve.absolute(CONSTANT_CURVE, 1);
coverImmutableBean(test);
ParallelShiftedCurve test2 = ParallelShiftedCurve.relative(CONSTANT_CURVE2, 0.2);
coverBeanEquals(test, test2);
}
public virtual void test_firstDerivative()
{
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(METADATA, DoubleArray.of(0, 1), DoubleArray.of(2, 2.5), CurveInterpolators.LINEAR);
Curve absoluteShiftedCurve = ParallelShiftedCurve.absolute(curve, 1);
Curve relativeShiftedCurve = ParallelShiftedCurve.relative(curve, 0.2);
assertThat(curve.firstDerivative(0.1)).isEqualTo(0.5);
assertThat(absoluteShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5);
assertThat(relativeShiftedCurve.firstDerivative(0.1)).isEqualTo(0.5 * 1.2);
}
//-------------------------------------------------------------------------
public virtual void test_yValueParameterSensitivity()
{
InterpolatedNodalCurve curve = InterpolatedNodalCurve.of(METADATA, DoubleArray.of(0, 1), DoubleArray.of(2, 2.5), CurveInterpolators.LINEAR);
Curve absoluteShiftedCurve = ParallelShiftedCurve.absolute(curve, 1);
Curve relativeShiftedCurve = ParallelShiftedCurve.relative(curve, 0.2);
UnitParameterSensitivity expected = curve.yValueParameterSensitivity(0.1);
assertThat(absoluteShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected);
assertThat(relativeShiftedCurve.yValueParameterSensitivity(0.1)).isEqualTo(expected);
}
public virtual void test_relative()
{
CurveParallelShifts test = CurveParallelShifts.relative(0.1d, 0.2d, 0.4d);
Curve baseCurve = InterpolatedNodalCurve.of(Curves.zeroRates("curve", DayCounts.ACT_365F), DoubleArray.of(1, 2, 3), DoubleArray.of(5, 6, 7), CurveInterpolators.LOG_LINEAR);
MarketDataBox <Curve> shiftedCurveBox = test.applyTo(MarketDataBox.ofSingleValue(baseCurve), REF_DATA);
assertEquals(shiftedCurveBox.getValue(0), ParallelShiftedCurve.relative(baseCurve, 0.1d));
assertEquals(shiftedCurveBox.getValue(1), ParallelShiftedCurve.relative(baseCurve, 0.2d));
assertEquals(shiftedCurveBox.getValue(2), ParallelShiftedCurve.relative(baseCurve, 0.4d));
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
ParallelShiftedCurve other = (ParallelShiftedCurve)obj;
return(JodaBeanUtils.equal(underlyingCurve, other.underlyingCurve) && JodaBeanUtils.equal(shiftType, other.shiftType) && JodaBeanUtils.equal(shiftAmount, other.shiftAmount));
}
return(false);
}
public virtual void test_of()
{
Curve test = ParallelShiftedCurve.of(CONSTANT_CURVE, ShiftType.RELATIVE, 0.1d);
assertThat(test.yValue(0)).isEqualTo(3.3d, offset(1e-10));
assertThat(test.yValue(1)).isEqualTo(3.3d, offset(1e-10));
assertThat(test.Name).isEqualTo(METADATA.CurveName);
assertThat(test.ParameterCount).isEqualTo(2);
assertThat(test.getParameter(0)).isEqualTo(3d);
assertThat(test.getParameter(1)).isEqualTo(0.1d);
assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty());
assertThat(test.getParameterMetadata(1)).isEqualTo(LabelParameterMetadata.of("RelativeShift"));
assertThat(test.Metadata).isEqualTo(METADATA);
}
public virtual void relative()
{
ParallelShiftedCurve test = ParallelShiftedCurve.relative(CONSTANT_CURVE, 0.1d);
assertThat(test.UnderlyingCurve).isEqualTo(CONSTANT_CURVE);
assertThat(test.ShiftType).isEqualTo(ShiftType.RELATIVE);
assertThat(test.ShiftAmount).isEqualTo(0.1d);
assertThat(test.Metadata).isEqualTo(METADATA);
assertThat(test.Name).isEqualTo(METADATA.CurveName);
assertThat(test.ParameterCount).isEqualTo(2);
assertThat(test.getParameter(0)).isEqualTo(3d);
assertThat(test.getParameter(1)).isEqualTo(0.1d);
assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty());
assertThat(test.getParameterMetadata(1)).isEqualTo(LabelParameterMetadata.of("RelativeShift"));
assertThat(test.withParameter(0, 5d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE2, 0.1d));
assertThat(test.withParameter(1, 0.5d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE, 0.5d));
assertThat(test.withPerturbation((i, v, m) => v + 2d)).isEqualTo(ParallelShiftedCurve.relative(CONSTANT_CURVE2, 2.1d));
assertThat(test.yValue(0)).isEqualTo(3.3d, offset(1e-10d));
assertThat(test.yValue(1)).isEqualTo(3.3d, offset(1e-10d));
}
//-------------------------------------------------------------------------
public virtual void absolute()
{
ParallelShiftedCurve test = ParallelShiftedCurve.absolute(CONSTANT_CURVE, 1d);
assertThat(test.UnderlyingCurve).isEqualTo(CONSTANT_CURVE);
assertThat(test.ShiftType).isEqualTo(ShiftType.ABSOLUTE);
assertThat(test.ShiftAmount).isEqualTo(1d);
assertThat(test.Metadata).isEqualTo(METADATA);
assertThat(test.Name).isEqualTo(METADATA.CurveName);
assertThat(test.ParameterCount).isEqualTo(2);
assertThat(test.getParameter(0)).isEqualTo(3d);
assertThat(test.getParameter(1)).isEqualTo(1d);
assertThat(test.getParameterMetadata(0)).isEqualTo(ParameterMetadata.empty());
assertThat(test.getParameterMetadata(1)).isEqualTo(LabelParameterMetadata.of("AbsoluteShift"));
assertThat(test.withParameter(0, 5d)).isEqualTo(ParallelShiftedCurve.absolute(CONSTANT_CURVE2, 1d));
assertThat(test.withParameter(1, 0.5d)).isEqualTo(ParallelShiftedCurve.absolute(CONSTANT_CURVE, 0.5d));
assertThat(test.withPerturbation((i, v, m) => v + 2d)).isEqualTo(ParallelShiftedCurve.absolute(CONSTANT_CURVE2, 3d));
assertThat(test.yValue(0)).isEqualTo(4d);
assertThat(test.yValue(1)).isEqualTo(4d);
}
public virtual void test_serialization()
{
ParallelShiftedCurve test = ParallelShiftedCurve.absolute(CONSTANT_CURVE, 1);
assertSerialization(test);
}